Académique Documents
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COLLEGE OF BUSINESS
Course Syllabus
Required:
Pennacchi, G., 2008, Theory of Asset Pricing, Pearson Education, Boston, MA.
Useful References:
Ingersoll, J., 1987, Theory of Financial Decision Making, Rowman & Littlefield, Totowa, NJ.
Cochrane, J., 2005, Asset Pricing, Princeton University Press, Princeton, NJ.
Duffie, D., 2001, Dynamic Asset Pricing Theory, Princeton University Press.
Back, K., 2010, Asset Pricing and Portfolio Choice Theory, Oxford University Press.
LeRoy, Stephen F. and Jan Werner, 2001, Principles of Financial Economics, Cambridge
University Press, Cambridge, UK
Gollier, Christian, 2001, The Economics of Risk and Time, MIT Press, Cambridge, MA
Hull, J.C., 2005, Options, Futures, and Other Derivatives, Prentice Hall, Upper Saddle River, NJ.
Campbell, J., A. Lo, and C. MacKinlay, 1997, The Econometrics of Financial Markets, Princeton
University Press, Princeton, NJ.
Review Articles:
Campbell, J., 2000, Asset Pricing at the Millennium, Journal of Finance 55, 1515-1567.
2. Mean-Variance Analysis
Chapter 2, Theory of Asset Pricing
Anderson, R. and J-P. Danthine, 1981, Cross Hedging, Journal of Political Economy
89, 1182-1196.
5. Limits to Arbitrage
Limited Arbitrage (handout)
Gromb, D. and D. Vayanos, 2010, Limits of Arbitrage, Annual Review of Financial
Economics 2, 251-275.
2
Merton, R.C., 1973, Theory of Rational Option Pricing, Bell Journal of Economics 4
141-143.
3
Grossman, S., 1976, On the Efficiency of Competitive Stock Markets Where Traders
Have Diverse Information, Journal of Finance 31, 573-585.
Kyle, A., 1985, Continuous Auctions and Insider Trading, Econometrica 53, 1315-35.